According to their website..No.
..Through checked baggage...
If you have a connecting flight with another airline, you maybe able to request check-in directly through to your final destination airport if Hong Kong Airlines has an interline agreement with the other airline. Your flights must also be on the same ticket, or are issued in conjunction with each other. You may check with the airlines of your different sectors for more details.
http://www.hongkongairlines.com/en_H...kedbaggage#152
But its unclear what 'issued in conjunction with each other' means. It may mean that its okay to be on separate tickets as long as the entire reservation is on the same PNR, and that you issued separate tickets after your HX ticket.
So you may always try.... but leave yourself lots of time to transfer at HKG in case they say no.
SK is an interline partner -
http://www.hongkongairlines.com/pdf/...%20traffic.pdf
Also please be aware that HX is infamous for being delayed... quite drastically, most of the time ! Their on-time performance is quite sad.. really. Below is their average delayed flights from HKG to BKK. So in your case, add at least 30 more mins for the return flight !
http://www.flightdnm.com/en/airline/...ong%20Airlines